Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 3 3
Score -0.1 -0.73 -0.38
Market Cap (Millions USD) 18984.68 19090.57 18649.32
Predicted Beta 3.5 3.5 3.5
Idiosyncratic Volatility 3.54 6.12 7.05

Annualized return and volatility

MDY
Annualized Return 0.0914
Annualized Std Dev 0.2110
Annualized Sharpe (Rf=0%) 0.4332

Row

Daily Return Statistics

MDY
Observations 5112.0000
NAs 2.0000
Minimum -0.1166
Quartile 1 -0.0056
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0070
Maximum 0.1200
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0133
Skewness -0.1556
Kurtosis 8.2660

Downside Risk

MDY
Semi Deviation 0.0096
Gain Deviation 0.0093
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.5533
Historical VaR (95%) -0.0203
Historical ES (95%) -0.0314
Modified VaR (95%) -0.0198
Modified ES (95%) -0.0327
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2010-12-06 -0.5533 872 426 446
2002-04-17 2002-10-09 2003-10-13 -0.3202 385 125 260
2011-05-02 2011-10-03 2012-03-26 -0.2619 230 109 121
2000-09-08 2001-09-21 2002-04-10 -0.2557 402 263 139
2018-08-30 2018-12-24 2019-11-26 -0.2317 318 82 236

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec MDY
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 1.0 1.0 0.0 1.4 2.9 0.0 0.2 1.0 0.0 0.7 2.3 0 10.9
2001 -0.4 0.4 0.0 1.4 1.3 0.0 1.1 0.0 -1.3 1.8 0.0 0 4.4
2002 -0.5 2.6 0.4 0.6 0.0 -2.5 -2.4 0.0 3.3 2.0 0.0 0 3.4
2003 0.0 0.0 1.4 0.0 0.0 0.9 -0.8 0.0 2.4 0.0 1.3 0 5.2
2004 0.0 1.6 1.1 0.0 0.5 -1.4 0.0 0.5 1.8 0.1 1.1 0 5.3
2005 0.9 0.5 -0.2 0.0 1.0 0.8 0.0 -0.3 0.0 0.9 1.4 0 5.1
2006 0.8 1.6 0.0 -0.6 1.4 0.0 -0.7 0.5 0.0 -1.4 0.1 0 1.5
2007 1.1 -0.4 0.0 0.3 0.4 0.0 0.5 0.0 1.2 -2.3 0.0 0 0.7
2008 2.7 0.0 3.5 1.4 0.0 0.0 -0.3 0.0 0.0 0.0 -10.3 0 -3.6
2009 0.0 0.0 1.4 -0.1 3.7 0.8 0.0 -2.1 -2.9 0.0 1.5 0 2.2
2010 1.5 1.8 1.1 0.0 -2.5 -0.6 0.0 3.4 0.3 0.0 2.1 0 7.1
2011 1.5 -1.6 0.7 0.0 -2.9 1.7 -0.6 -1.5 0.0 -3.1 -0.7 0 -6.4
2012 2.1 0.9 0.0 0.5 -3.1 0.0 -1.1 0.0 -0.5 2.5 0.0 0 1.2
2013 0.8 -0.1 -1.0 -1.8 0.0 1.5 2.1 0.0 1.4 0.1 0.0 0 2.9
2014 0.0 0.0 0.9 0.1 0.0 0.8 -0.1 0.0 -1.3 0.0 -1.3 0 -0.9
2015 0.0 0.0 -0.4 0.8 0.2 0.4 0.0 -2.8 -0.2 0.0 0.9 0 -1.2
2016 -0.2 2.3 0.6 0.0 0.5 0.2 -0.3 0.0 0.0 -1.1 -0.2 0 1.7
2017 -0.3 1.7 0.0 0.3 1.6 0.0 0.3 0.4 0.0 -0.3 -0.3 0 3.4
2018 0.2 -0.3 0.0 0.4 0.6 0.0 -0.3 0.0 -0.8 2.0 0.0 0 1.6
2019 0.3 0.8 1.3 -1.2 0.0 0.2 -1.5 0.0 -1.9 1.4 0.0 0 -0.6

Row

Rolling Performance Chart

Snail Trail Chart